title: |
Linearization of one-dimensional nonautonomous jump-diffusion stochastic differential equations |
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publication: |
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| volume-issue: | 14 - 3 | |
| pages: | 430 - 442 | |
ISSN: |
1402-9251 | |
DOI: |
doi:10.2991/jnmp.2007.14.3.9 (how to use a DOI) | |
author(s): |
Gazanfer Unal, Ismail Iyigunler, C Masood Khalique |
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publication date: |
October 2007 |
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abstract: |
Necessary and sufficient conditions for the linearization of one-dimensional nonau-
tonomous jump-diffusion stochastic differential equations are given. Stochastic inte-
grating factor is introduced to solve the linear jump-diffusion stochastic differential
equations. Closed form solutions to certain linearizable jump-diffusion stochastic dif-
ferential equations are obtained. |
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copyright: |
©
Atlantis Press. This article is distributed under the
terms of the Creative Commons Attribution License, which permits
non-commercial use, distribution and reproduction in any medium,
provided the original work is properly cited. |
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full text: |